Surefire Report

Summary

[Summary] [Package List] [Test Cases]


Tests Errors Failures Skipped Success Rate Time
663 0 0 5 99.246% 1,399.234

Note: failures are anticipated and checked for with assertions while errors are unanticipated.


Package List

[Summary] [Package List] [Test Cases]


Package Tests Errors Failures Skipped Success Rate Time
398 0 0 4 98.995% 1,107.003
net.finmath.montecarlo.interestrate 12 0 0 0 100% 48.357
net.finmath.montecarlo.automaticdifferentiation 1 0 0 0 100% 0.984
net.finmath.rootfinder 1 0 0 0 100% 0.038
net.finmath.singleswaprate.calibration 5 0 0 0 100% 20.748
net.finmath.fouriermethod 8 0 0 0 100% 8.283
net.finmath.time.businessdaycalendar 5 0 0 0 100% 0.066
net.finmath.marketdata.products 3 0 0 0 100% 0.038
net.finmath.equities 17 0 0 0 100% 1.297
net.finmath.singleswaprate.products 9 0 0 0 100% 7.522
net.finmath.singleswaprate.annuitymapping 5 0 0 0 100% 0.272
net.finmath.montecarlo.hybridassetinterestrate 5 0 0 0 100% 58.131
net.finmath.fouriermethod.calibration 2 0 0 0 100% 2.775
net.finmath.time 34 0 0 0 100% 1.274
net.finmath.integration 10 0 0 0 100% 0.282
net.finmath.stochastic 20 0 0 0 100% 0.027
net.finmath.convexityadjustment 1 0 0 0 100% 0.4
net.finmath.modelling 1 0 0 0 100% 2.775
net.finmath.marketdata.model.curves.locallinearregression 2 0 0 0 100% 0.858
net.finmath.montecarlo.assetderivativevaluation.models 4 0 0 0 100% 6.25
net.finmath.singleswaprate.model.volatilities 6 0 0 0 100% 0.476
net.finmath.optimizer 12 0 0 0 100% 0.441
net.finmath.montecarlo.automaticdifferentiation.backward 1 0 0 0 100% 0.03
net.finmath.randomnumbers 1 0 0 0 100% 1.214
net.finmath.montecarlo.interestrate.products.components 3 0 0 0 100% 13.221
net.finmath.marketdata.model.curves 6 0 0 0 100% 1.04
net.finmath.time.daycount 3 0 0 0 100% 0.075
net.finmath.fouriermethod.products 1 0 0 0 100% 0.084
net.finmath.information 2 0 0 0 100% 0.013
net.finmath.montecarlo.interestrate.products 11 0 0 0 100% 15.936
net.finmath.modelling.descriptor 6 0 0 0 100% 65.455
net.finmath.montecarlo.assetderivativevaluation 15 0 0 1 93.333% 13.217
net.finmath.montecarlo.interestrate.modelplugins 1 0 0 0 100% 0.663
net.finmath.montecarlo.assetderivativevaluation.products 3 0 0 0 100% 3.189
net.finmath.marketdata.model.volatilities 6 0 0 0 100% 0.244
net.finmath.modelling.productfactory 2 0 0 0 100% 2.645
net.finmath.finitedifference 4 0 0 0 100% 1.906
net.finmath.montecarlo 2 0 0 0 100% 7.402
net.finmath.marketdata.model.cds 1 0 0 0 100% 0.145
net.finmath.singleswaprate.data 1 0 0 0 100% 0.123
net.finmath.analytic.model.curves.test 1 0 0 0 100% 0.61
net.finmath.interpolation 1 0 0 0 100% 0.096
net.finmath.functions 31 0 0 0 100% 3.629

Note: package statistics are not computed recursively, they only sum up all of its testsuites numbers.

Class Tests Errors Failures Skipped Success Rate Time
BrownianMotionTest 20 0 0 0 100% 94.167
RandomVariableDifferentiableTypePriorityTest 16 0 0 0 100% 0.037
RandomVariableDifferentiableArithmeticTest 20 0 0 0 100% 0.041
CalibrationTest 12 0 0 0 100% 0.229
LIBORMarketModelNormalAADSensitivitiesTest 15 0 0 0 100% 113.122
LIBORMarketModelCalibrationTest 3 0 0 0 100% 230.156
FIPXMLParserTest 1 0 0 0 100% 0.044
RandomVariableDifferentiableTest 52 0 0 0 100% 28.713
LIBORMarketModelCalibrationAADTest 2 0 0 0 100% 91.641
LIBORMarketModelInterpolationTest 3 0 0 0 100% 15.921
FPMLParserTest 1 0 0 0 100% 0.107
MonteCarloBlackScholesModelSensitivitiesTest 3 0 0 0 100% 1.655
LIBORIndexMultiCurveTest 6 0 0 0 100% 29.237
SimpleCappedFlooredFloatingRateBondTest 2 0 0 0 100% 5.798
BachelierModelMonteCarloValuationTest 24 0 0 4 83.333% 3.351
DeltaHedgedPortfolioWithAADTest 2 0 0 0 100% 19.832
BlackScholesMonteCarloValuationTest 24 0 0 0 100% 3.472
LIBORIndexTest 60 0 0 0 100% 104.999
RandomVariableDifferentiableAADPerformanceTest 18 0 0 0 100% 97.34
CapletVolatilitiesParametricCalibrationTest 2 0 0 0 100% 107.353
HestonModelCallOptionTest 2 0 0 0 100% 0.155
RandomVariableTest 45 0 0 0 100% 27.37
HestonModelTest 2 0 0 0 100% 3.123
DisplacedLognomalModelTest 3 0 0 0 100% 0.507
LIBORMarketModelMultiCurveValuationTest 14 0 0 0 100% 65.563
CalibrationTest 6 0 0 0 100% 0.181
LIBORMarketModelValuationTest 40 0 0 0 100% 62.889

net.finmath.montecarlo.interestrate

Class Tests Errors Failures Skipped Success Rate Time
CapValuationTest 1 0 0 0 100% 3.244
LIBORMarketModelCalibrationSmileTest 1 0 0 0 100% 34.759
HullWhiteModelTest 9 0 0 0 100% 9.584
HullWhiteModelCalibrationTest 1 0 0 0 100% 0.77

net.finmath.montecarlo.automaticdifferentiation

Class Tests Errors Failures Skipped Success Rate Time
MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest 1 0 0 0 100% 0.984

net.finmath.rootfinder

Class Tests Errors Failures Skipped Success Rate Time
RootFindersTest 1 0 0 0 100% 0.038

net.finmath.singleswaprate.calibration

Class Tests Errors Failures Skipped Success Rate Time
SABRCubeParallelCalibrationTest 1 0 0 0 100% 4.49
StaticCubeCalibrationTest 1 0 0 0 100% 2.245
SABRCubeCalibrationTest 1 0 0 0 100% 12.469
SABRShiftedSmileCalibrationTest 2 0 0 0 100% 1.544

net.finmath.fouriermethod

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesCallOptionTest 2 0 0 0 100% 0.11
VarianceGammaCallOptionTest 3 0 0 0 100% 5.361
MertonJumpDiffusionCallOptionTest 3 0 0 0 100% 2.812

net.finmath.time.businessdaycalendar

Class Tests Errors Failures Skipped Success Rate Time
BusinessdayCalendarTest 5 0 0 0 100% 0.066

net.finmath.marketdata.products

Class Tests Errors Failures Skipped Success Rate Time
DepositTest 3 0 0 0 100% 0.038

net.finmath.equities

Class Tests Errors Failures Skipped Success Rate Time
PdeOptionPricerTest 8 0 0 0 100% 1.087
AffineDividendStreamTest 2 0 0 0 100% 0.027
AnalyticOptionValuationTest 2 0 0 0 100% 0.071
SviVolatiltitySurfaceTest 3 0 0 0 100% 0.067
Black76ModelTest 2 0 0 0 100% 0.045

net.finmath.singleswaprate.products

Class Tests Errors Failures Skipped Success Rate Time
CashSettledSwaptionTest 3 0 0 0 100% 2.725
ConstantMaturitySwapTest 3 0 0 0 100% 4.335
AnnuityDummyTest 3 0 0 0 100% 0.462

net.finmath.singleswaprate.annuitymapping

Class Tests Errors Failures Skipped Success Rate Time
NormalizingFunctionTest 1 0 0 0 100% 0.134
AnnuityMappingTest 4 0 0 0 100% 0.138

net.finmath.montecarlo.hybridassetinterestrate

Class Tests Errors Failures Skipped Success Rate Time
HybridAssetLIBORModelMonteCarloSimulationFromModelsTest 1 0 0 0 100% 1.715
CrossCurrencyLIBORMarketModelFromModelsTest 4 0 0 0 100% 56.416

net.finmath.fouriermethod.calibration

Class Tests Errors Failures Skipped Success Rate Time
HestonDaxCalibrationTest 1 0 0 0 100% 1.68
VarianceGammaDaxCalibrationTest 1 0 0 0 100% 1.095

net.finmath.time

Class Tests Errors Failures Skipped Success Rate Time
DayCountConventionTest 8 0 0 0 100% 0.024
ScheduleGeneratorTest 3 0 0 0 100% 0.063
FloatingpointDateTest 3 0 0 0 100% 1.137
TimeDiscretizationTest 20 0 0 0 100% 0.05

net.finmath.integration

Class Tests Errors Failures Skipped Success Rate Time
PiecewiseContantDoubleUnaryOperatorTest 5 0 0 0 100% 0.02
TrapezoidalRealIntegratorTest 1 0 0 0 100% 0.019
SimpsonRealIntegratorTest 2 0 0 0 100% 0.043
MonteCarloIntegratorTest 2 0 0 0 100% 0.2

net.finmath.stochastic

Class Tests Errors Failures Skipped Success Rate Time
ScalarTest 20 0 0 0 100% 0.027

net.finmath.convexityadjustment

Class Tests Errors Failures Skipped Success Rate Time
CMSOptionTest 1 0 0 0 100% 0.4

net.finmath.modelling

Class Tests Errors Failures Skipped Success Rate Time
LIBORMarketModelHierarchyTest 1 0 0 0 100% 2.775

net.finmath.marketdata.model.curves.locallinearregression

Class Tests Errors Failures Skipped Success Rate Time
CurveEstimationTest 2 0 0 0 100% 0.858

net.finmath.montecarlo.assetderivativevaluation.models

Class Tests Errors Failures Skipped Success Rate Time
MultiAssetBlackScholesModelTest 4 0 0 0 100% 6.25

net.finmath.singleswaprate.model.volatilities

Class Tests Errors Failures Skipped Success Rate Time
SABRVolatilityCubeSharedParametersTest 2 0 0 0 100% 0.175
SABRVolatilityCubeTest 4 0 0 0 100% 0.301

net.finmath.optimizer

Class Tests Errors Failures Skipped Success Rate Time
StochasticLevenbergMarquardtTest 2 0 0 0 100% 0.143
LevenbergMarquardtTest 6 0 0 0 100% 0.091
OptimizerFactoryTest 2 0 0 0 100% 0.119
StochasticPathwiseLevenbergMarquardtTest 2 0 0 0 100% 0.088

net.finmath.montecarlo.automaticdifferentiation.backward

Class Tests Errors Failures Skipped Success Rate Time
RandomVariableDifferentiableAADTest 1 0 0 0 100% 0.03

net.finmath.randomnumbers

Class Tests Errors Failures Skipped Success Rate Time
AcceptanceRejectionRandomNumberGeneratorTest 1 0 0 0 100% 1.214

net.finmath.montecarlo.interestrate.products.components

Class Tests Errors Failures Skipped Success Rate Time
ExposureTest 2 0 0 0 100% 13.181
FundingCapacityTest 1 0 0 0 100% 0.04

net.finmath.marketdata.model.curves

Class Tests Errors Failures Skipped Success Rate Time
CalibrationMultiCurveTest 1 0 0 0 100% 0.727
CurveTest 1 0 0 0 100% 0.069
DiscountCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.015
DiscountCurveSerializationTest 1 0 0 0 100% 0.049
NelsonSiegelSvenssonCalibrationTest 1 0 0 0 100% 0.161
ForwardCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.019

net.finmath.time.daycount

Class Tests Errors Failures Skipped Success Rate Time
DayCountConvention_30E_360Test 1 0 0 0 100% 0.038
DayCountConvention_30E_360_ISDATest 2 0 0 0 100% 0.037

net.finmath.fouriermethod.products

Class Tests Errors Failures Skipped Success Rate Time
TestCarrMadan 1 0 0 0 100% 0.084

net.finmath.information

Class Tests Errors Failures Skipped Success Rate Time
LibraryTest 2 0 0 0 100% 0.013

net.finmath.montecarlo.interestrate.products

Class Tests Errors Failures Skipped Success Rate Time
SwaptionAnalyticApproximationTest 2 0 0 0 100% 2.385
SwapLegTest 5 0 0 0 100% 7.629
SwaptionNormalTest 1 0 0 0 100% 2.156
InterestRateProductTest 3 0 0 0 100% 3.766

net.finmath.modelling.descriptor

Class Tests Errors Failures Skipped Success Rate Time
MertonModelDescriptorTest 1 0 0 0 100% 17.839
InterestRateSwapLegDescriptorTest 2 0 0 0 100% 3.776
VarianceGammaModelDescriptorTest 1 0 0 0 100% 40.672
AssetBlackScholesModelDescriptorTest 1 0 0 0 100% 1.631
HestonModelDescriptorTest 1 0 0 0 100% 1.537

net.finmath.montecarlo.assetderivativevaluation

Class Tests Errors Failures Skipped Success Rate Time
InhomogenousBachelierModelMonteCarloValuationTest 6 0 0 1 83.333% 1.135
MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest 2 0 0 0 100% 5.463
VarianceGammaModelTest 1 0 0 0 100% 2.676
MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest 1 0 0 0 100% 0.165
MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest 1 0 0 0 100% 0.318
MonteCarloBlackScholesModelTest 2 0 0 0 100% 0.126
MonteCarloBlackScholesModelAsianOptionSensitivitiesTest 1 0 0 0 100% 0.17
MertonModelTest 1 0 0 0 100% 3.164

net.finmath.montecarlo.interestrate.modelplugins

Class Tests Errors Failures Skipped Success Rate Time
LIBORVolatilityModelFourParameterExponentialFormIntegratedTest 1 0 0 0 100% 0.663

net.finmath.montecarlo.assetderivativevaluation.products

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesDeltaHedgedPortfolioTest 1 0 0 0 100% 1.927
ForwardAgreementWithFundingRequirementTest 1 0 0 0 100% 0.444
EuropeanOptionVegaPathwiseTest 1 0 0 0 100% 0.818

net.finmath.marketdata.model.volatilities

Class Tests Errors Failures Skipped Success Rate Time
CapletVolatilitiesTest 1 0 0 0 100% 0.089
CapletVolatilitiesParametricTest 5 0 0 0 100% 0.155

net.finmath.modelling.productfactory

Class Tests Errors Failures Skipped Success Rate Time
ModelWithProductFactoryTest 2 0 0 0 100% 2.645

net.finmath.finitedifference

Class Tests Errors Failures Skipped Success Rate Time
ConstantElasticityOfVarianceThetaTest 2 0 0 0 100% 1.511
BlackScholesThetaTest 2 0 0 0 100% 0.395

net.finmath.montecarlo

Class Tests Errors Failures Skipped Success Rate Time
GammaProcessTest 1 0 0 0 100% 5.872
VarianceGammaTest 1 0 0 0 100% 1.53

net.finmath.marketdata.model.cds

Class Tests Errors Failures Skipped Success Rate Time
CDSTest 1 0 0 0 100% 0.145

net.finmath.singleswaprate.data

Class Tests Errors Failures Skipped Success Rate Time
DataTablesTest 1 0 0 0 100% 0.123

net.finmath.analytic.model.curves.test

Class Tests Errors Failures Skipped Success Rate Time
TestCurvesFromLIBORModel 1 0 0 0 100% 0.61

net.finmath.interpolation

Class Tests Errors Failures Skipped Success Rate Time
BiLinearInterpolationTest 1 0 0 0 100% 0.096

net.finmath.functions

Class Tests Errors Failures Skipped Success Rate Time
NormalDistributionTest 2 0 0 0 100% 0.102
JarqueBeraTestTest 1 0 0 0 100% 0.054
LinearAlgebraTest 3 0 0 0 100% 0.038
BachelierModelTest 8 0 0 0 100% 0.119
BarrierOptionsTest 8 0 0 0 100% 0.056
AnalyticFormulasTest 9 0 0 0 100% 3.26

Test Cases

[Summary] [Package List] [Test Cases]

PiecewiseContantDoubleUnaryOperatorTest

testExceptions 0.011
testIntegralErrorCorrection 0
testValuation 0
testIntegralOfSquares 0
testIntegral 0

CapValuationTest

testCap 3.237

NormalDistributionTest

testCumulativeDistribution 0.055
testInverseCumulativeDistribution 0.039

InhomogenousBachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 0
skipped
testModelRandomVariable 0.15
testEuropeanCallVega 0.445
testEuropeanCallDelta 0.402
testEuropeanCall 0.063
testModelProperties 0.062

MertonModelDescriptorTest

test 17.832

DayCountConvention_30E_360Test

test 0.031

JarqueBeraTestTest

test 0.045

BrownianMotionTest

testBrownianIncrementSquaredDrift 3.806
testBrownianIncrementSquaredDrift 2.897
testBrownianIncrementSquaredDrift 2.859
testBrownianIncrementSquaredDrift 3.684
testSerialization 0.038
testSerialization 0.027
testSerialization 0.028
testSerialization 0.031
testScalarValuedBrownianMotionTerminalDistribution 5.32
testScalarValuedBrownianMotionTerminalDistribution 5.369
testScalarValuedBrownianMotionTerminalDistribution 4.784
testScalarValuedBrownianMotionTerminalDistribution 5.735
testScalarValuedBrownianMotionWithJarqueBeraTest 2.62
testScalarValuedBrownianMotionWithJarqueBeraTest 3.136
testScalarValuedBrownianMotionWithJarqueBeraTest 2.439
testScalarValuedBrownianMotionWithJarqueBeraTest 2.499
testDensity 12.653
testDensity 11.829
testDensity 12.403
testDensity 12.01

RandomVariableDifferentiableTypePriorityTest

testTypePriorityAdd 0.024
testTypePriorityAdd 0.001
testTypePriorityAdd 0.005
testTypePriorityAdd 0.001
testTypePriorityCap 0.002
testTypePriorityCap 0
testTypePriorityCap 0.001
testTypePriorityCap 0
testTypePriorityMult 0
testTypePriorityMult 0.001
testTypePriorityMult 0
testTypePriorityMult 0.001
testTypePriorityFloor 0
testTypePriorityFloor 0
testTypePriorityFloor 0
testTypePriorityFloor 0.001

RandomVariableDifferentiableArithmeticTest

testArithmeticExpLog 0.017
testArithmeticExpLog 0
testArithmeticExpLog 0.02
testArithmeticExpLog 0.001
testArithmeticSqrtMultSqrt 0.001
testArithmeticSqrtMultSqrt 0
testArithmeticSqrtMultSqrt 0
testArithmeticSqrtMultSqrt 0
testArithmeticSqrtSquared 0.001
testArithmeticSqrtSquared 0
testArithmeticSqrtSquared 0.001
testArithmeticSqrtSquared 0
testArithmeticDivSelf 0
testArithmeticDivSelf 0
testArithmeticDivSelf 0
testArithmeticDivSelf 0
testArithmeticSubSelf 0
testArithmeticSubSelf 0
testArithmeticSubSelf 0
testArithmeticSubSelf 0

SwaptionAnalyticApproximationTest

testMultiCurveModel 1.287
testSingleCurveModel 1.089

CalibrationTest

testCurvesAndCalibration 0.156
testCurvesAndCalibration 0.015
testCurvesAndCalibration 0.021
testCurvesAndCalibration 0.009
testCurvesAndCalibration 0.01
testCurvesAndCalibration 0.01
testForwardCurveFromDiscountCurve 0.003
testForwardCurveFromDiscountCurve 0.001
testForwardCurveFromDiscountCurve 0.001
testForwardCurveFromDiscountCurve 0.001
testForwardCurveFromDiscountCurve 0.001
testForwardCurveFromDiscountCurve 0.001

GammaProcessTest

testScaling 5.863

LIBORMarketModelNormalAADSensitivitiesTest

testDelta 5.481
testDelta 5.485
testDelta 6.583
testDelta 6.727
testDelta 9.252
testVega 5.188
testVega 5.707
testVega 6.754
testVega 7.122
testVega 29.975
testGenericDelta 3.053
testGenericDelta 3.568
testGenericDelta 4.175
testGenericDelta 5.065
testGenericDelta 8.987

CurveEstimationTest

testRegressionMatrix 0.836
testLinearInterpolation 0.014

LIBORMarketModelCalibrationTest

testATMSwaptionCalibration 68.62
testATMSwaptionCalibration 7.007
testATMSwaptionCalibration 154.529

ScalarTest

testAbs 0.004
testAdd 0
testCap 0
testDiv 0.001
testSub 0
testSubRatio 0
testFloor 0.002
testIsNaN 0
testMult 0
testSqrt 0.001
testArrayOf 0
testAddRatio 0.001
testGetAverage 0
testAddProduct 0
testDiscount 0
testAccrue 0
testChoose 0
testEquals 0.001
testInvert 0
testSquared 0

PdeOptionPricerTest

Test_pricer_american 0.21
Test_noArbitrage 0.047
Test_pricer_americanCall 0.02
Test_pricer_european 0.013
Test_europeanSensis 0.019
Test_pricer_americanPut 0.029
Test_impliedVol 0.148
Test_pricer_lv 0.593

MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest

testSensitivities 2.794
testProductAADSensitivities 2.66

AffineDividendStreamTest

Test_affineDividendConversion 0.017
Test_sorting 0.001

RandomVariableDifferentiableAADTest

testSecondOrderDerivative 0.021

HestonDaxCalibrationTest

test 1.673

SwapLegTest

testFloatLeg 2.225
testCMSSpreadLeg 1.602
testFixLeg 1.187
testLIBORInArrearsFloatLeg 1.269
testCMSFloatLeg 1.337

FIPXMLParserTest

testGetSwapProductDescriptor 0.044

AnalyticOptionValuationTest

Test_noArbitrage 0.052
Test_sensis 0.01

RandomVariableDifferentiableTest

testRandomVariableExpectation 0.113
testRandomVariableExpectation 0.009
testRandomVariableExpectation 0.012
testRandomVariableExpectation 0.008
testRandomVariableSimpleGradient2 0.001
testRandomVariableSimpleGradient2 0.007
testRandomVariableSimpleGradient2 0
testRandomVariableSimpleGradient2 0
testRandomVariableSimpleGradient 0
testRandomVariableSimpleGradient 0.001
testRandomVariableSimpleGradient 0
testRandomVariableSimpleGradient 0
testRandomVariableGradientBiggerSum 2.148
testRandomVariableGradientBiggerSum 0.956
testRandomVariableGradientBiggerSum 1.901
testRandomVariableGradientBiggerSum 0.894
testRandomVariableGradientBigSumWithConstants 0.218
testRandomVariableGradientBigSumWithConstants 0.135
testRandomVariableGradientBigSumWithConstants 0.08
testRandomVariableGradientBigSumWithConstants 0.063
testRandomVariableArithmeticSqrtPow 0
testRandomVariableArithmeticSqrtPow 0
testRandomVariableArithmeticSqrtPow 0.001
testRandomVariableArithmeticSqrtPow 0
testRandomVariableStandardDeviation 0.001
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableGradientBigSum2 0.039
testRandomVariableGradientBigSum2 0.023
testRandomVariableGradientBigSum2 0.037
testRandomVariableGradientBigSum2 0.022
testRandomVariableArithmeticSquaredPow 0
testRandomVariableArithmeticSquaredPow 0
testRandomVariableArithmeticSquaredPow 0
testRandomVariableArithmeticSquaredPow 0
testRandomVariableGradientBigSum 0.11
testRandomVariableGradientBigSum 0.049
testRandomVariableGradientBigSum 0.134
testRandomVariableGradientBigSum 0.048
testRandomVariableStochastic 0
testRandomVariableStochastic 0
testRandomVariableStochastic 0
testRandomVariableStochastic 0
testRandomVariableDifferentiableInterfaceVsFiniteDifferences 5.403
testRandomVariableDifferentiableInterfaceVsFiniteDifferences 5.537
testRandomVariableDifferentiableInterfaceVsFiniteDifferences 5.268
testRandomVariableDifferentiableInterfaceVsFiniteDifferences 5.494
testRandomVariableDeterministc 0.001
testRandomVariableDeterministc 0
testRandomVariableDeterministc 0
testRandomVariableDeterministc 0

LIBORMarketModelCalibrationAADTest

testATMSwaptionCalibration 34.465
testATMSwaptionCalibration 57.176

TrapezoidalRealIntegratorTest

test 0.011

LIBORMarketModelInterpolationTest

testInterpolatedLastLIBOR 5.966
testInterpolatedLastLIBOR 4.957
testInterpolatedLastLIBOR 4.998

ExposureTest

testExpectedPositiveExposure 7.613
testAgainstSwaption 5.559

VarianceGammaModelTest

test 2.668

RootFindersTest

testRootFinders 0.031

CashSettledSwaptionTest

a_testSimplifiedLinear 0.602
b_testBasicPiterbarg 1.051
c_testMultiPiterbarg 0.988

FPMLParserTest

testGetSwapProductDescriptor 0.107

MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest

testProductAADSensitivities 0.155

BusinessdayCalendarTest

testNycCalendar 0.039
testCreateDateFromDateAndOffsetCode 0.012
testCombinedCalendar 0.007
testTargetCalendar 0
testLondonCalendar 0

BlackScholesDeltaHedgedPortfolioTest

testHedgePerformance 1.92

DepositTest

testRateValueConsistency 0.021
testEvaluationTime 0
testDepositValue 0.008

InterestRateSwapLegDescriptorTest

testFloatLeg 2.312
testFixLeg 1.456

FundingCapacityTest

test 0.029

HybridAssetLIBORModelMonteCarloSimulationFromModelsTest

test 1.709

VarianceGammaModelDescriptorTest

test 40.664

NormalizingFunctionTest

testExpectation 0.049

ConstantMaturitySwapTest

testSimplifiedLinear 0.749
testBasicPiterbarg 1.774
testMultiPiterbarg 1.745

AnnuityDummyTest

testSimplified 0.214
testBasic 0.1
testMulti 0.08

SABRCubeParallelCalibrationTest

testCalibration 4.483

StaticCubeCalibrationTest

testStaticCubeCalibration 2.237

StochasticLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.077
test 0.057

AcceptanceRejectionRandomNumberGeneratorTest

test 1.207

DayCountConventionTest

testDayCountConvention_30E_360 0.005
testDayCountConvention_ACT_360 0.001
testDayCountConvention_ACT_365 0.001
testDayCountConventionAdditivity_ACT_ACT_ICMA 0.002
testDayCountConventionAdditivity_ACT_ACT_ISDA 0.001
testDayCountConventionConsistency_ACT_ACT_ICMA_versus_ACT_ACT_ISDA 0.001
testDayCountConvention_ACT_ACT_ISDA 0
testDayCountConvention_ACT_ACT_YEARFRAC 0.005

MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest

testProductAADSensitivities 0.311

MonteCarloBlackScholesModelSensitivitiesTest

testProductAADSensitivities 0.532
testProductAADSensitivities 0.401
testProductAADSensitivities 0.722

LIBORIndexMultiCurveTest

testFRAMonteCarloVersusAnalytic 3.388
testFRAMonteCarloVersusAnalytic 3.768
testFRAMonteCarloVersusAnalytic 9.005
testFRAMonteCarloVersusAnalytic 1.861
testFRAMonteCarloVersusAnalytic 3.334
testFRAMonteCarloVersusAnalytic 7.881

LevenbergMarquardtTest

testMultiThreaddedOptimizer 0.053
testBoothFunctionWithAnalyticDerivative 0.013
testRosenbrockFunctionWithList 0.006
testBoothFunction 0.003
testRosenbrockFunction 0.005
testSmallLinearSystem 0.002

CDSTest

testCDS 0.139

LinearAlgebraTest

testSolveLinearEquationLeastSquarePseudoInverse2 0.029
testSolveLinearEquationLeastSquarePseudoInverse3 0.001
testSolveLinearEquationLeastSquarePseudoInverse 0

SimpleCappedFlooredFloatingRateBondTest

test 3.382
test 2.416

CrossCurrencyLIBORMarketModelFromModelsTest

testForeignBond 16.519
testProperties 7.596
testForeignCaplet 16.059
testForeignFRA 16.231

TestCarrMadan

test 0.077

OptimizerFactoryTest

testRosenbrockFunctionWithCMAES 0.101
testRosenbrockFunctionWithLevenbergMarquard 0.01

AnnuityMappingTest

a_testMappings 0.003
b_testSeq 0.013
c_testFirstDerivative 0.001
d_testSecondDerivative 0.001

MonteCarloBlackScholesModelTest

testDirectValuation 0.093
testProductImplementation 0.025

BachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 0
skipped
testEuropeanAsianBermudanOption 0
skipped
testEuropeanAsianBermudanOption 0
skipped
testEuropeanAsianBermudanOption 0
skipped
testModelRandomVariable 0.144
testModelRandomVariable 0.073
testModelRandomVariable 0.041
testModelRandomVariable 0.042
testEuropeanCallVega 0.456
testEuropeanCallVega 0.397
testEuropeanCallVega 0.316
testEuropeanCallVega 0.313
testEuropeanCallDelta 0.329
testEuropeanCallDelta 0.191
testEuropeanCallDelta 0.296
testEuropeanCallDelta 0.296
testEuropeanCall 0.061
testEuropeanCall 0.049
testEuropeanCall 0.059
testEuropeanCall 0.055
testModelProperties 0.059
testModelProperties 0.059
testModelProperties 0.057
testModelProperties 0.058

ScheduleGeneratorTest

testPeriodLength 0.051
testPeriodStartPeriodEnd 0.001
testScheduleGeneratorMetaData 0.003

BiLinearInterpolationTest

test 0.086

CapletVolatilitiesTest

testConversions 0.082

VarianceGammaDaxCalibrationTest

test 1.088

CalibrationMultiCurveTest

testMultiCurveCalibration 0.718

DayCountConvention_30E_360_ISDATest

testAssumingEndDateIsATerminationDate 0.03
testAssumingEndDateIsNotATerminationDate 0.001

CMSOptionTest

testCMSOption 0.393

DeltaHedgedPortfolioWithAADTest

testHedgePerformance 10.291
testHedgePerformance 9.541

BlackScholesCallOptionTest

test 0.092
testDigitalOption 0.01

BachelierModelTest

testInhomogeneousImpliedVolatility 0.073
testHomogeneousRandomVariableImplementations 0.002
testDelta 0.017
testVega 0.003
testInhomogeneousRandomVariableImplementations 0.001
testInhomogenousDelta 0.002
testInhomogenousVega 0.002
testImpliedVolatility 0.01

SwaptionNormalTest

testSwaption 2.15

LIBORMarketModelCalibrationSmileTest

testSwaptionSmileCalibration 34.749

LIBORVolatilityModelFourParameterExponentialFormIntegratedTest

test 0.656

CurveTest

testCurveFitting 0.061

MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest

test 0.977

BlackScholesMonteCarloValuationTest

testEuropeanAsianBermudanOption 0.426
testEuropeanAsianBermudanOption 0.265
testEuropeanAsianBermudanOption 0.271
testEuropeanAsianBermudanOption 0.271
testModelRandomVariable 0.022
testModelRandomVariable 0.016
testModelRandomVariable 0.015
testModelRandomVariable 0.011
testEuropeanCallVega 0.222
testEuropeanCallVega 0.325
testEuropeanCallVega 0.199
testEuropeanCallVega 0.173
testEuropeanCallDelta 0.289
testEuropeanCallDelta 0.415
testEuropeanCallDelta 0.207
testEuropeanCallDelta 0.203
testEuropeanCall 0.017
testEuropeanCall 0.019
testEuropeanCall 0.018
testEuropeanCall 0.015
testModelProperties 0.017
testModelProperties 0.026
testModelProperties 0.015
testModelProperties 0.015

StochasticPathwiseLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.067
test 0.013

SABRCubeCalibrationTest

testSABRCubeCalibration 12.46

LIBORIndexTest

testSinglePeriods 0.291
testSinglePeriods 0.123
testSinglePeriods 0.191
testSinglePeriods 0.299
testSinglePeriods 0.29
testSinglePeriods 0.834
testSinglePeriods 1.303
testSinglePeriods 3.078
testSinglePeriods 3.431
testSinglePeriods 9.341
testSinglePeriods 0.112
testSinglePeriods 0.182
testSinglePeriods 0.181
testSinglePeriods 0.242
testSinglePeriods 0.289
testSinglePeriods 0.589
testSinglePeriods 1.277
testSinglePeriods 2.693
testSinglePeriods 3.304
testSinglePeriods 7.964
testMultiPeriodFloater 0.081
testMultiPeriodFloater 0.085
testMultiPeriodFloater 0.17
testMultiPeriodFloater 0.537
testMultiPeriodFloater 0.287
testMultiPeriodFloater 0.612
testMultiPeriodFloater 1.311
testMultiPeriodFloater 2.843
testMultiPeriodFloater 3.806
testMultiPeriodFloater 8.334
testMultiPeriodFloater 0.094
testMultiPeriodFloater 0.18
testMultiPeriodFloater 0.147
testMultiPeriodFloater 0.216
testMultiPeriodFloater 0.279
testMultiPeriodFloater 0.557
testMultiPeriodFloater 1.219
testMultiPeriodFloater 2.591
testMultiPeriodFloater 3.271
testMultiPeriodFloater 7.974
testUnalignedPeriods 0.074
testUnalignedPeriods 0.092
testUnalignedPeriods 0.255
testUnalignedPeriods 0.249
testUnalignedPeriods 0.292
testUnalignedPeriods 0.714
testUnalignedPeriods 1.405
testUnalignedPeriods 2.916
testUnalignedPeriods 3.613
testUnalignedPeriods 8.135
testUnalignedPeriods 0.093
testUnalignedPeriods 0.185
testUnalignedPeriods 0.127
testUnalignedPeriods 0.229
testUnalignedPeriods 0.255
testUnalignedPeriods 0.561
testUnalignedPeriods 1.296
testUnalignedPeriods 2.565
testUnalignedPeriods 3.198
testUnalignedPeriods 8.137

MonteCarloBlackScholesModelAsianOptionSensitivitiesTest

testProductAADSensitivities 0.163

HullWhiteModelTest

testBermudanSwaption 2.731
testZeroCMSSwap 1.973
testBond 0.414
testSwap 2.819
testSwaption 0.488
testCaplet 0.379
testCapletSmile 0.33
testLIBORInArrearsFloatLeg 0.008
testPutOnMoneyMarketAccount 0.434

RandomVariableDifferentiableAADPerformanceTest

test 1.488
test 1.316
test 2.03
test 1.851
test 1.178
test 1.111
test 2.764
test 1.135
test 2.163
test 1.128
test 1.7
test 1.137
test 21.089
test 4.648
test 20.506
test 6.155
test 20.408
test 5.533

MertonModelTest

test 3.156

CapletVolatilitiesParametricCalibrationTest

testVolatilityCalibration 39.919
testVolatilityCalibration 67.434

ModelWithProductFactoryTest

bsTest 1.229
hTest 1.409

DiscountCurveNelsonSiegelSvenssonTest

test 0.006

SimpsonRealIntegratorTest

testCos 0.035
testCubic 0.002

ForwardAgreementWithFundingRequirementTest

test 0.433

CapletVolatilitiesParametricTest

testIntegratedFourParameterExponentialVolatilityParamSet1 0.105
testDecayVolatility 0
testIntegratedFourParameterExponentialVolatilityParamSetCZero 0.042
testFlatVolatilityUsingA 0.001
testFlatVolatilityUsingD 0

DataTablesTest

testTables 0.111

HestonModelCallOptionTest

test 0.125
test 0.03

FloatingpointDateTest

testLocalDateTime 1.124
test 0.005
testLocalDateLocalDateTimeConsistency 0.002

SviVolatiltitySurfaceTest

Test_noArbitrage 0.029
Test_calibration 0.029
Test_stickyness 0.002

RandomVariableTest

testAdd 0.006
testAdd 0.001
testAdd 0.012
testAdd 0.002
testAdd 0.003
testCap 0
testCap 0
testCap 0.001
testCap 0.001
testCap 0
testFloor 0
testFloor 0
testFloor 0.001
testFloor 0
testFloor 0
testRandomVariableArithmeticSqrtPow 0.001
testRandomVariableArithmeticSqrtPow 0
testRandomVariableArithmeticSqrtPow 0.003
testRandomVariableArithmeticSqrtPow 0
testRandomVariableArithmeticSqrtPow 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testGetQuantile 5.64
testGetQuantile 5.477
testGetQuantile 5.487
testGetQuantile 5.394
testGetQuantile 5.331
testRandomVariableArithmeticSquaredPow 0
testRandomVariableArithmeticSquaredPow 0.001
testRandomVariableArithmeticSquaredPow 0.002
testRandomVariableArithmeticSquaredPow 0
testRandomVariableArithmeticSquaredPow 0
testRandomVariableStochastic 0.001
testRandomVariableStochastic 0
testRandomVariableStochastic 0.002
testRandomVariableStochastic 0
testRandomVariableStochastic 0
testRandomVariableDeterministc 0.001
testRandomVariableDeterministc 0.001
testRandomVariableDeterministc 0.002
testRandomVariableDeterministc 0
testRandomVariableDeterministc 0

HestonModelTest

test 1.75
test 1.373

LibraryTest

testVersionString 0.004
testBuildString 0.001

DisplacedLognomalModelTest

testProductImplementation 0.293
testProductImplementation 0.112
testProductImplementation 0.102

InterestRateProductTest

testBond 1.428
testSwap 1.261
testSwaption 1.067

DiscountCurveSerializationTest

test 0.042

AssetBlackScholesModelDescriptorTest

test 1.623

BarrierOptionsTest

testDownAndInCall 0.04
testDownAndOutPut 0.001
testDownAndInPut 0.001
testUpAndInPut 0
testUpAndInCall 0
testUpAndOutPut 0.001
testUpAndOutCall 0.001
testDownAndOutCall 0

LIBORMarketModelHierarchyTest

testModelHierarchy 2.768

SABRVolatilityCubeSharedParametersTest

a_cubeATM 0.019
b_strikeSlices 0.013

VarianceGammaCallOptionTest

testMartingalePropertyMonteCarlo 2.707
test 2.646
testMartingaleProperty 0

NelsonSiegelSvenssonCalibrationTest

testCalibration 0.151

ForwardCurveNelsonSiegelSvenssonTest

test 0.011

LIBORMarketModelMultiCurveValuationTest

testBond 4.335
testBond 3.025
testSwap 3.019
testSwap 3.023
testSwaptionSmile 2.841
testSwaptionSmile 2.843
testSwaption 2.774
testSwaption 2.811
testDigitalCaplet 2.935
testDigitalCaplet 3.46
testCaplet 2.894
testCaplet 3.611
testSwaptionCalibration 14.128
testSwaptionCalibration 13.864

MertonJumpDiffusionCallOptionTest

testMartingalePropertyMonteCarlo 1.462
test 1.341
testMartingaleProperty 0.001

EuropeanOptionVegaPathwiseTest

test 0.811

CalibrationTest

testCurvesAndCalibration 0.156
testCurvesAndCalibration 0.013
testCurvesAndCalibration 0.007
testForwardCurveFromDiscountCurve 0.004
testForwardCurveFromDiscountCurve 0.001
testForwardCurveFromDiscountCurve 0

AnalyticFormulasTest

testSABRSkewApproximation 0.006
testBlackScholesPutCallParityATM 0.024
testVolatilityConversionLognormalToNormal 0.003
testBachelierOptionImpliedVolatility 0.755
testBlackScholesNegativeForward 0.001
testSABRCurvatureApproximation 0
testBachelierRiskNeutralProbabilities 0.023
testSABRCalibration 2.412
testBachelierOptionDelta 0.027

ConstantElasticityOfVarianceThetaTest

testEuropeanCallOption 0.854
testEuropeanPutOption 0.648

MonteCarloIntegratorTest

testCos 0.129
testCubic 0.064

MultiAssetBlackScholesModelTest

testModelWithFactorLoadings 3.354
testModelWithCloneModifiedVolatility 0.176
testModelCloneWithModifiedSeed 0.108
testModelWithVolatilityAndCorrelation 2.6

HestonModelDescriptorTest

test 1.53

TimeDiscretizationTest

constructWithNumberOfStepsSmallerThanTickSize 0.027
constructWithSetAtDefaultTickSize 0.002
constructWithBoxedArrayAtSmallTickSize 0
testUnionWithSubTickDuplicates 0.001
testIntersectionWithNoDuplicates 0.001
constructWithUnboxedArrayAtDefaultTickSize 0
constructWithIntervalShortStubAtFront 0.002
constructWithIntervalShortStubAtEnd 0.001
constructWithNumberOfSteps 0.001
constructWithSetAtSmallTickSize 0
constructWithArrayListAtBigTickSize 0
constructWithBoxedArrayAtBigTickSize 0
constructWithSetAtBigTickSize 0.001
testIntersectionWithSubTickDuplicates 0
testIntersectionWithDifferentTickSizes 0
constructWithBoxedArrayAtDefaultTickSize 0.002
constructWithArrayListAtSmallTickSize 0
testUnionWithNoDuplicates 0.001
testUnionWithDifferentTickSizes 0
constructWithArrayListAtDefaultTickSize 0

Black76ModelTest

Test_black76_impliedVolatility 0.038
Test_black76_formula 0

SABRVolatilityCubeTest

a_cubeATM 0.027
b_strikeSlices 0.017
c_testAccessPerformance 0.096
d_testAccessPerformanceOnNodes 0.024

HullWhiteModelCalibrationTest

testATMSwaptionCalibration 0.762

BlackScholesThetaTest

testEuropeanCallOption 0.252
testEuropeanPutOption 0.134

SABRShiftedSmileCalibrationTest

testCalibration 1.446
testSingleSmile 0.04

TestCurvesFromLIBORModel

testStochasticCurves 0.602

LIBORMarketModelValuationTest

testFRA 2.662
testFRA 1.711
testFRA 1.968
testFRA 1.931
testBond 1.546
testBond 1.451
testBond 3.232
testBond 1.983
testSwap 1.42
testSwap 1.379
testSwap 3.183
testSwap 1.724
testSwaptionSmile 1.384
testSwaptionSmile 1.309
testSwaptionSmile 2.75
testSwaptionSmile 1.873
testSwaption 1.372
testSwaption 1.283
testSwaption 1.929
testSwaption 1.844
testDigitalCaplet 1.364
testDigitalCaplet 1.261
testDigitalCaplet 2.076
testDigitalCaplet 1.668
testLIBORInArrearsConvexity 1.431
testLIBORInArrearsConvexity 1.211
testLIBORInArrearsConvexity 1.506
testLIBORInArrearsConvexity 1.766
testCaplet 1.314
testCaplet 1.201
testCaplet 2.045
testCaplet 1.788
testCapletSmile 1.363
testCapletSmile 1.301
testCapletSmile 1.568
testCapletSmile 1.67
testSwaptionCalibration 0.254
testSwaptionCalibration 0.059
testSwaptionCalibration 0.057
testSwaptionCalibration 0.052

VarianceGammaTest

testCharacteristicFunction 1.523

Failure Details

[Summary] [Package List] [Test Cases]


testEuropeanAsianBermudanOption
skipped: skipped
testEuropeanAsianBermudanOption
skipped: skipped
testEuropeanAsianBermudanOption
skipped: skipped
testEuropeanAsianBermudanOption
skipped: skipped
testEuropeanAsianBermudanOption
skipped: skipped